uying assets that have over performed in therecent past.
egadeeshand Titman (1993, 2001).
omentumeffects tend to persist across equity styles (Fama-French factors), across international regionalequities.
ased on autocorrelation properties of financialseries
sual strategies: rank assets according to factors(
, P/E,«) and buy first n quintile versuslast n quintile (quintile might be overlapping)
Also arbitrages between market indices and cashexhibit autocorrelation. Therefore momentumstrategies should work.